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The cheapest hedge

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  • Aliprantis, Charalambos D.
  • Polyrakis, Yiannis A.
  • Tourky, Rabee

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  • Aliprantis, Charalambos D. & Polyrakis, Yiannis A. & Tourky, Rabee, 2002. "The cheapest hedge," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 269-295, July.
    • Handle: RePEc:eee:mateco:v:37:y:2002:i:4:p:269-295
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    References listed on IDEAS

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    1. Aliprantis, C. D. & Brown, D. J. & Werner, J., 2000. "Minimum-cost portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1703-1719, October.
    2. Edirisinghe, Chanaka & Naik, Vasanttilak & Uppal, Raman, 1993. "Optimal Replication of Options with Transactions Costs and Trading Restrictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 117-138, March.
    3. Naik, Vasanttilak & Uppal, Raman, 1994. "Leverage Constraints and the Optimal Hedging of Stock and Bond Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(2), pages 199-222, June.
    4. Brown, Donald J & Ross, Stephen A, 1991. "Spanning, Valuation and Options," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(1), pages 3-12, January.
    5. Leland, Hayne E, 1980. "Who Should Buy Portfolio Insurance?," Journal of Finance, American Finance Association, vol. 35(2), pages 581-594, May.
    6. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(1), pages 75-89.
    7. Green, Richard C. & Jarrow, Robert A., 1987. "Spanning and completeness in markets with contingent claims," Journal of Economic Theory, Elsevier, vol. 41(1), pages 202-210, February.
    8. Broadie, Mark & Cvitanic, Jaksa & Soner, H Mete, 1998. "Optimal Replication of Contingent Claims under Portfolio Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 59-79.
    9. Ioannis Karatzas & (*), S. G. Kou, 1998. "Hedging American contingent claims with constrained portfolios," Finance and Stochastics, Springer, vol. 2(3), pages 215-258.
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    Cited by:

    1. Aliprantis, Charalambos D. & Harris, David & Tourky, Rabee, 2007. "Riesz estimators," Journal of Econometrics, Elsevier, vol. 136(2), pages 431-456, February.
    2. Martin S. Chin, 2002. "Modelling Social Infrastructure and Growth," Department of Economics - Working Papers Series 839, The University of Melbourne.
    3. Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
    4. Huai-I. Lee & Min-Hsien Chiang & Hsinan Hsu, 2008. "A new choice of dynamic asset management: the variable proportion portfolio insurance," Applied Economics, Taylor & Francis Journals, vol. 40(16), pages 2135-2146.
    5. Stuart Kells, 2002. "The Australian Book Auction Records," Department of Economics - Working Papers Series 830, The University of Melbourne.

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